HOW TO UNDERSTAND THE HARMONISED ANNEX?

HOW TO UNDERSTAND THE HARMONISED ANNEX?

May 2021

DISCLAIMER AND LIST OF ABBREVIATIONS

• CIR shall be read as Council Implementing Regulation (EU) 2015/81.• DR shall be read as Commission Delegated Regulation (EU) 2015/63.• MD stands for 2021 Master Decision and refers to the Decision of the Single Resolution Board of 14 April 2021 on the calculation

of the 2021 ex-ante contributions to the Single Resolution Fund (SRB/ES/2021/22).

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IMPORTANT NOTICE:The information and guidance provided in this document are intended to contribute to a better understanding of the Harmonised Annex. Certain unessentialaspects of the calculation methodology adopted and the mathematical operations performed in this document may slightly differ from those adopted andperformed in the corresponding steps under the SRB Calculation Tool. The figures provided in this document are for illustrative purpose only and do notcorrespond to the relevant numbers for the 2021 contributions.

This document is intended purely as a guidance tool – only the text of the applicable EU legislation has legal force and is liable to create rights and obligations forindividuals. This guidance is not intended to be relied upon for purposes other than description, nor should be regarded as creating any enforceable right orexpectation. The views expressed in this guidance shall not be construed as binding the Single Resolution Board and are without prejudice to the position that itmight take, or has previously taken, in other contexts. Neither the Single Resolution Board nor any person acting on behalf of the Single Resolution Board may beheld accountable for the use which might be made of the information included therein. As this guidance reflects the state of the art at the time of its drafting, itshould be regarded as a 'living tool’ and its content may be subject to modifications without notice.

List of abbreviations:

INTRODUCTION: TYPES OF HARMONISED ANNEXES (1/2)

A. Lump sum – small institutions paying a lump-sum contribution

2021 SRF Data Reporting Form The contributions of these institutions are calculated in accordance with Article 10 of Commission Delegated Regulation 2015/63 (“DR”). In case an institution qualifies for lump-sum contribution, the field 2B2 in the 2021 SRF Data Reporting Form is prefilled with “Yes”. These institutions need to fill in Tab 1 “General information” and sections A and B of Tab 2 “Basic annual contribution” .

2021 Master Decision Please refer to section 6 “Calculation methodology”, sub-section 6.3 “Lump-sum contributions for small institutions” in the MD.

B. Article 10(7) – institutions that have opted for the alternative calculation under Art. 10(7) DR

2021 SRF Data Reporting Form When an institution qualifies for lump-sum contribution, in accordance with Article 10(7) it can also opt for the calculation of an alternative contribution amount. In such case, institution needs to fill in “Yes” in field 2B3 in the 2021 SRF Data Reporting Form, and provide all necessary additional information in section C of Tab 2 “Basic annual contribution” and Tab 3 “Deductions”.

2021 Master Decision Please refer to section 6 “Calculation methodology”, sub-section 6.3 “Lump-sum contributions for small institutions” in the MD.

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INTRODUCTION: TYPES OF HARMONISED ANNEXES (2/2)

D. Risk Adjusted and Article 8(5)– institutions paying a contribution that has been calculated applying a risk adjustment factor

2021 SRF Data Reporting Form These institutions should fill in all Tabs in the 2021 SRF Data Reporting Form.

2021 Master Decision Please refer to section 6 “Calculation methodology”, sub-section 6.6 “Calculation of the risk-adjusted contributions”. Forinstitutions whose total assets are above EUR 1 bn, but equal to, or less than, EUR 3 bn, please refer to sub-section 6.3“Partial lump-sum contributions” in the MD. For small institutions that have a risk profile that is disproportionate to theirsmall size, please refer to sub-section 6.2.3 “Small institutions that have a risk profile that is disproportionate to their smallsize” in the MD.

1 mortgage credit institution financed by covered bonds' means institutions referred to in Article 45(3) of Directive 2014/59/EU.2 investment firm authorized to carry out only limited services and activities' means investment firms as defined in point (2) of Article 4(1) of Regulation (EU) No 575/2013 that is subject to the

initial capital requirement laid down in Article 28(2) of Directive 2013/36/EU, which fall within the definition of Article 96(1)(a) or (b) of Regulation (EU) No 575/2013 or which carry outactivity 8 of Annex I Section A of Directive 2004/39/EC but which do not carry out activities 3 or 6 of Annex I Section A of that Directive. This investment firm shall also be covered by theconsolidated supervision of the parent undertaking carried out by the ECB in accordance with Article 4(1)(g) of Regulation (EU) No 1024/2013.4

C. Basic - Mortgage credit institutions financed by covered bonds and investment firms authorized to carry out only limited services and activities

2021 SRF Data Reporting Form When an institution is a mortgage credit institution financed by covered bonds1 or an investment firm authorized to carry outonly limited services and activities2 fields 1C10 or 1C8, respectively, are filled with “Yes” in the 2021 SRF Data Reporting Form.In case their size does not allow them to qualify for lump-sum contribution, a special calculation method is applied:

• For mortgage credit institutions financed by covered bonds: 50% is applied on their Basic Annual Contribution• For investment firm authorized to carry out only limited services and activities: the contribution amount is equal to

their Basic Annual ContributionThese institutions need to fill in only Tab 1 “General information”, Tab 2 “Basic annual contribution” and Tab 3 “Deductions”.

2021 Master Decision • For mortgage credit institutions financed by covered bonds: please refer to section 6 “Calculation methodology”, sub-section 6.4 “Mortgage credit institutions financed by covered bonds which, according to national law, are not allowed toreceive deposits” in the MD.

• For investment firms authorized to carry out only limited services and activities: please refer to section 6.5 “Investmentfirms with limited services and activities” in the MD.

Total liabilities 2A1

- Own funds 2A2

- Covered deposits 2A3

Total Eligible for lump-sum?

Calculation of final amount to be paid

Gross contribution

310,000,000.0000

50,000,000.0000

200,000,000.0000

60,000,000.0000

2,000.00

Determination of size of the institution (field codes refer to the 2021 SRF reporting form)

A. LUMP-SUM

Example A.1: 2021 ex-ante contribution calculated for small institutions paying a lump-sum contribution

Total Assets < €1bn; and

Base (total liabilities – own funds – covered deposits) of an institution ≤ €300m

Base of institution Gross contributionbase ≤ €50m 1,000 €

€50m < base ≤ €100m 2,000 €

€100m < base ≤ €150m 7,000 €

€150m < base ≤ €200m 15,000 €

€200m < base ≤ €250m 26,000 €

€250m < base ≤ €300m 50,000 €

When is an institution eligible for lump-sum?

How is the gross contribution determined?

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Note:Since certain investment firms, which are authorized to carry out only limited services and activities, are not subject to, or may be exempted from, certain capital and liquidityrequirements, the Commission Delegated Regulation (EU) 2015/63 does not apply to them. In order to be able to, nevertheless, calculate the required contribution for theseinstitutions, the SRB defined a risk adjustment methodology. For those investment firms, whose total liabilities less own funds less covered deposits are less than or equal to EUR300,000,000, the lump-sum methodology of Article 10 of the Commission Delegated Regulation (EU) 2015/63 is used, without, however, applying the maximum amount (EUR1,000,000,000) on the total assets. For other investment firms, the contribution amount is equal to the Basic Annual Contribution (see slide 7).

CALCULATION DETAILS (Lump Sum)

Ex-ante contribution to the Single Resolution Fund for the 2021 contribution period

Lump sum amount 50,000.00 50,000.00

Relevant target (as above) 7,100,000,000.0000 300,000,000.0000

BAC numerator (as above) 252,000,000.0000 252,000,000.0000

BAC denominator (as above) 37,000,000,000,000.0000 200,000,000,000.0000

Outcome of alternative calculation 48,356.76 378,000.00

Lower of the two amounts 48,356.76 50,000.00

Calculation of gross contribution

2021 contribution

SRMR (86.67%) BRRD (13.33%)

48,575.80

B. ARTICLE 10(7)*

Example B.1: 2021 ex-ante contribution calculated for lump-sum institution that opted for the alternative calculation

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How is the 2021 contribution calculated?

For lump-sum institutions that have opted for an alternativecalculation, the 2021 ex-ante contribution is determined bycomparing the lump sum amount to the alternative calculation(sub-section 6.2 of MD).

STEP 1: determine the lump-sum amount based on institution’sbase (i.e. total liabilities – own funds – covered deposits)

STEP 2: calculate the alternative amount in SRMR and BRRD:

𝑡𝑎𝑟𝑔𝑒𝑡 ×𝐵𝑛

∑𝑝=1𝑁 𝐵𝑝

Ex:

• In SRMR: 7,100,000,000 x 252,000,000 / 37,000,000,000,000= 48 356 76, .

• In BRRD: 300,000,000 x 252,000,000 / 200,000,000,000= 378 000 00, .

STEP 3: choose the lower of the two amounts (i.e. lump sum or alternative) in SRMR and BRRD

Ex:

• In SRMR: min[50,000.00 ; 48,356.76] 48,356.76

• In BRRD: min[50,000.00 ; 378,000.00] 50,000.00

STEP 4: determine the 2021 contribution by applying the relative weights: 86.67% - SRMR and 13.33% - BRRD

Ex: 0 8667 x 48 356 76 + 0.1333 x 50 000 = 48 575.80. , . . , , .

STEP 1

STEP 2

STEP 3

STEP 4

Legend: • 𝐵𝑛is the BAC numerator

• ∑𝑝=1𝑁 𝐵𝑝 is the BAC denominator

• target is the original target excluding the lump-sum contributions

* Institutions that have opted for the alternative calculation under Article 10(7) DR.

CALCULATION DETAILS

(Institutions that have opted for the alternative calculation under Art. 10(7) DR)





Outcome calculation 152,500.00 214,285.71


SRMR (86.67%) BRRD (13.33%)

2021 contribution 160,736.04




Outcome calculation 305,000.00 428,571.43


2021 contribution

SRMR (86.67%) BRRD (13.33%)

321,472.07

C. BASIC

Example C.1: 2021 ex-ante contribution calculated for investment firms with limited services and activities

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For investment firms with limited services and activities that do notqualify for a lump sum, the contribution is equal to their BasicAnnual Contribution (section 6.5 paragraph (83) (b) of MD):



STEP 1: calculate the basic annual contribution in SRMR and BRRD:

Ex:

• In SRMR: 6,100,000,000 x 750,000,000 / 15,000,000,000,000 =305,000.00

• In BRRD: 200,000,000 x 750,000,000 / 350,000,000,000 =428,571.43

STEP 1

STEP 2

Example C.2: 2021 ex-ante contribution calculated for mortgage credit institutions financed by covered bonds


For mortgage credit institutions financed by covered bonds that donot qualify for a lump sum, the contribution is calculated using only50% of their Basic Annual Contribution (sub-section 6.4 of MD):



×1

2

STEP 1: calculate the basic annual contribution in SRMR and BRRD:

Ex:• In SRM: 6,100,000,000 x 750,000,000 / 15,000,000,000,000 x ½ =

152,500.00• In BRRD: 200,000,000 x 750,000,000 / 350,000,000,000 x ½ =

214,285.71

Repeat STEPS 1 and 2 as for investment firms with limited services and activities, but note that for mortgage credit institutions financed by covered bonds, in order to calculate the“Outcome calculation” 50% of the Basic Annual Contribution is taken into account.

STEP 2: determine the 2021 contribution by applying the relative weights: 86.67% - SRMR and 13.33% -BRRD

Ex: 0 8667 x 305 000 + 0.1333 x 428 571.43 = 321 472 07. , . , . . .,

STEP 1

STEP 2: determine the 2021 contribution by applying the relative weights: 86.67% - SRM and 13.33% - BRRD Ex: 0 8. 667 x 152,500 + 0. .1333 x 214 2, 8. 5.71 = 160,736.04

STEP 2

CALCULATION DETAILS (Mortgage credit institution financed by covered bonds)


CALCULATION DETAILS (Investment firms with limited services and activities)


Weight

50.00%

Leverage ratio 33.33% 19 1 -

CET1 ratio (CET1 capital / Total Risk Exposure) 33.33% 20 13 -

Total Risk Exposure / Total Assets 33.33% 21 5 +

20.00%

Liquidity Coverage Ratio 100% 21 15 -

10.00%

Share of interbank loans and deposits in the EU 100% 20 4 +

20.00%

5% 21 1 +

5% 20 1 +

5% 19 1 +

5% 21 6 +

5% 19 7 +

5% 19 19 +

Derivatives exposure divided by Total Assets 5% 21 11

8+

Derivatives exposure divided by CET1 5% 19 141

9+

5% 19 142

0+

Membership in an Institutional Protection Scheme 1C4 Yes 45% 5 -

IPS bin 2.0000

Multiplier factor for the IPS indicator 777.8000

Extent of previous extraordinary public financial support 4D17 No 10% 52 +

Calculation of SRM risk-adjustment factor

Pillar I - Composite Indicator (DR, Annex I, Step 5) 477.6680

Pillar II - Composite Indicator (DR, Annex I, Step 5) 700.3000

Pillar III - Composite Indicator (DR, Annex I, Step 5) 842.2632

Pillar IV - Composite Indicator (DR, Annex I, Step 5) 748.7725

Composite Indicator (DR, Annex I, Step 5) 597.0829 Minimum FCI

Final Composite Indicator (FCI) (DR, Annex I, Step 5) 402.9171 Maximum FCI

Risk Adjustment Factor (DR, Annex I, Step 6) 1.063189532847

Derivatives exposure divided by total risk exposure

Off-balance sheet nominal amount divided by Total Assets

Off-balance sheet nominal amount divided by CET1

Off-balance sheet nominal amount divided by total risk exposure

PILLAR I: Risk exposure

PILLAR II: Stability and variety of sources of funding

PILLAR III: Importance of an institution to the stability of the financial system or economy

PILLAR IV: Additional risk indicators

Risk weighted assets for market risk divided by Total Assets

Risk weighted assets for market risk divided by CET1

Risk weighted assets for market risk divided by total risk exposure

1000.0000

1000.0000

1.0000

842.2632

Number of bins

(DR, Annex I,

Step 2)

Bin number

(DR, Annex I,

Step 2)

Sign (DR, Annex

I, Step 4.1)

Score of bin (TRI) (DR,

Annex I, Step 4.2)

777.8000

1000.0000

66.397703393189

961.431578011444

750.2500

667.0000

1.0000

1000.0000

278.5000

278.5000

631.9474

800.2000

700.3000

1000.0000

Risk-adjustment factor (field codes refer to the 2021 SRF reporting template)

D. RISK ADJUSTED AND ARTICLE 8(5)*

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Example D.1: Calculation of the Risk Adjustment Factor (1/2)

How is the Risk Adjustment Factor calculated?

For risk-adjusted institutions, the basic annual contributions of theinstitutions are further adjusted in proportion to their risk profile (sub-section 6.6 of MD).

STEP 1: following the “Discretization of the Indicators” in Annex I Step 2 ofthe DR, a number of bins per indicator is determined and institutions areassigned to one of these bins according to the value taken by their riskindicator. Institutions with the lowest value of the raw indicators areassigned to the first bins and institutions with the highest value to the lastbin.

Ex. In Pillar I, indicator “Leverage ratio”, there are 19 bins. Based on thevalue of the leverage ratio raw indicator, the institution was placed in bin 1(hence, it has the lowest value of the raw indicators).

STEP 2: rescaling of indicators (including the assigned sign) is performed byapplying the following formulas:

(1000− 1) ∙𝐼𝑘,𝑛−min

𝑛𝐼𝑘,𝑛

max𝑛

𝐼𝑘,𝑛−min𝑛

𝐼𝑘,𝑛+ 1 if sign = ‘-’

1001 − ((1000 − 1) ∙𝐼𝑘,𝑛−min

𝑛𝐼𝑘,𝑛

max𝑛

𝐼𝑘,𝑛−min𝑛

𝐼𝑘,𝑛+ 1) if sign = ‘+’

Ex: In Pillar I:

• “CET1 ratio” with negative sign: (1000 – 1) x (13-1)/(20-1) +1 = 999 x12/19 +1 = 631.9474

• “TRE/TA” with positive sign: 1001 – ((1000 – 1) x (5-1)/(21-1) +1) = 1001– (999 x 4/20 +1) = 1001 – 200.867000 = 800.133000

Note: The steps described in these slides do not correspond to steps in Annex I of the DR.

* Mid-size institutions as defined in Article 8(5) of CIR.

CALCULATION DETAILS (Article 8.5)


CALCULATION DETAILS (Risk Adjusted)


Weight

50.00%

Leverage ratio 33.33% 19 1 -

CET1 ratio (CET1 capital / Total Risk Exposure) 33.33% 20 13 -

Total Risk Exposure / Total Assets 33.33% 21 5 +

20.00%

Liquidity Coverage Ratio 100% 21 15 -

10.00%

Share of interbank loans and deposits in the EU 100% 20 4 +

20.00%

5% 21 1 +

5% 20 1 +

5% 19 1 +

5% 21 6 +

5% 19 7 +

5% 19 19 +

Derivatives exposure divided by Total Assets 5% 21 11

8+

Derivatives exposure divided by CET1 5% 19 141

9+

5% 19 142

0+

Membership in an Institutional Protection Scheme 1C4 Yes 45% 5 -

IPS bin 2.0000

Multiplier factor for the IPS indicator 777.8000

Extent of previous extraordinary public financial support 4D17 No 10% 52 +

Calculation of SRM risk-adjustment factor

Pillar I - Composite Indicator (DR, Annex I, Step 5) 477.6680

Pillar II - Composite Indicator (DR, Annex I, Step 5) 700.3000

Pillar III - Composite Indicator (DR, Annex I, Step 5) 842.2632

Pillar IV - Composite Indicator (DR, Annex I, Step 5) 748.7725

Composite Indicator (DR, Annex I, Step 5) 597.0829 Minimum FCI

Final Composite Indicator (FCI) (DR, Annex I, Step 5) 402.9171 Maximum FCI

Risk Adjustment Factor (DR, Annex I, Step 6) 1.063189532847

Derivatives exposure divided by total risk exposure

Off-balance sheet nominal amount divided by Total Assets

Off-balance sheet nominal amount divided by CET1

Off-balance sheet nominal amount divided by total risk exposure

PILLAR I: Risk exposure

PILLAR II: Stability and variety of sources of funding

PILLAR III: Importance of an institution to the stability of the financial system or economy

PILLAR IV: Additional risk indicators

Risk weighted assets for market risk divided by Total Assets

Risk weighted assets for market risk divided by CET1

Risk weighted assets for market risk divided by total risk exposure

1000.0000

1000.0000

1.0000

842.2632

Number of bins

(DR, Annex I,

Step 2)

Bin number

(DR, Annex I,

Step 2)

Sign (DR, Annex

I, Step 4.1)

Score of bin (TRI) (DR,

Annex I, Step 4.2)

777.8000

1000.0000

66.397703393189

961.431578011444

750.2500

667.0000

1.0000

1000.0000

278.5000

278.5000

631.9474

800.2000

700.3000

1000.0000

Risk-adjustment factor (field codes refer to the 2021 SRF reporting template)

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Example D.1: Calculation of the Risk Adjustment Factor (2/2)

How is the Risk Adjustment Factor calculated?

STEP 3: aggregate the indicators within each pillar through aweighted arithmetic average to calculate the Composite Indicator.

Ex: Pillar I Composite Indicator is calculated as follows:

(1/3 x 1) + (1/3 x 631.9) + (1/3 x 800.133) = 477.6680

STEP 4: compute the Composite Indicator by aggregating the pillarsthrough a weighted geometric average (weight of Pillar I - 5/10, PillarII – 2/10, Pillar III - 1/10 and Pillar IV - 2/10).

Ex: 477.6680^(5/10) x 700.3000^(2/10) x 842.2632^(1/10) x748.7725^(2/10) = 597.0829

STEP 5: define the Final Composite Indicator as FCI=1000-CI so thatinstitutions with higher risk profiles get a higher FCI (i.e. closer to1000).

Ex: 1000 – 597.0829 = 402.9171

STEP 6: rescale the Final Composite Indicator over the range[0.80;1.5] by applying the following formula:

෨𝑅𝑛 = 1.5 − 0.80 ∙𝐹𝐶𝐼𝑛 −min

𝑛𝐹𝐶𝐼𝑛

max𝑘

𝐹𝐶𝐼𝑘 −min𝑛

𝐹𝐶𝐼𝑛+ 0.80

Ex: (1.5 – 0.80) x (402.9171 – 66.3977) / (961.4316 – 66.3977) + 0.80= 0.7 x 336.5194 / 895.0339 + 0.80 = 1.063189532847

STEP 3

STEP 4STEP 5STEP 6

D. RISK ADJUSTED AND ARTICLE 8(5)

Note: The steps described in these slides do not correspond to steps in Annex I of the DR.





(a) Relevant target (as above) 5,100,000,000.0000 100,000,000.0000

(b) BAC numerator ( Bn, as above) 900,000,000.0000 900,000,000.0000

(c) BAC denominator* 13,000,000,000,000.0000 300,000,000,000.0000

(d) Risk Adjustment Factor ( R̃n, as above) 1.063189533 1.443210000

(e) Sum of risk adjusted BACs** 18,700,000,000,000.0000 4,000,000,000,000.0000

Outcome calculation*** 260,964.70 32,472.23

Calculation of gross contribution (DR, Annex I, Step 6)

SRMR (86.67%) BRRD (13.33%)


D. RISK ADJUSTED

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Example D.2: 2021 ex-ante contribution calculated for risk-adjusted institution that does not qualify for Art. 8(5) of CIR


The 2021 contribution of risk-adjusted institutions depends on the relevanttarget, relative size of its basic annual contribution and its risk:

𝑇𝑎𝑟𝑔𝑒𝑡 ∗

𝐵𝑛∑𝑝=1𝑁 𝐵𝑝

∗ ෨𝑅𝑛


∑𝑞=1𝑁 𝐵𝑞

∗ ෨𝑅𝑝

= 𝑎 ∗

(𝑏)(𝑐)

∗ (𝑑)

(𝑒)(𝑐)

STEP 1: calculate the contribution amount in SRMR and BRRD.

Ex:

• In SRMR: 5,100,000,000 x (900,000,000/13,000,000,000,000) x1.063189532847 / (18,700,000,000,000/13,000,000,000,000) =260,964.70

• In BRRD: 100,000,000 x (900,000,000/300,000,000,000) x 1.443210000 /(4,000,000,000,000/300,000,000,000) = 32,472.23

STEP 2: determine the 2021 contribution by applying the relative weights:86.67% - SRMR and 13.33% - BRRD

Ex: 0 8667 x 260 964 70 + 0.1333 x 32 472 23 = 230 506.79. , . . , . , .

STEP 1

STEP 2

What is the sum of risk adjusted BACs?

The sum of risk adjusted BACs can be expressed in the following formula:

Ex: hypothetical environment with only three institutions

The sum of risk adjusted BACS: 810 + 675 + 1,125 = 2,610

BAC RAF BAC x RAF

Bank A 900 0.9 810

Bank B 500 1.35 675

Bank C 750 1.5 1,125

SUM 2,150 2,610



(a) Relevant target (as above) 5,100,000,000.0000 100,000,000.0000

(b) BAC numerator ( Bn, as above) 750,000,000.0000 750,000,000.0000

(c) BAC denominator* 13,000,000,000,000.0000 300,000,000,000.0000

(d) Risk Adjustment Factor ( R̃n, as above) 1.063189532847 1.443210000000

(e) Sum of risk adjusted BACs** 18,700,000,000,000.0000 4,000,000,000,000.0000

Outcome calculation*** 267,470.59 77,060.19

Calculation of gross contribution (DR, Annex I, Step 6)

SRMR (86.67%) BRRD (13.33%)

Of which: EUR 50.000 for liabilities treated in accordance with Article 8(5) CIR


Total liabilities 2A1 2,000,000,000.0000

- Own funds 2A2 200,000,000.0000

- Covered deposits 2A3 800,000,000.0000

Sub total 1,000,000,000.0000

+/- Derivative adjustment (If applicable; see last page) 65,000,000.0000

- Deductions (If applicable; see last page) 15,000,000.0000

- Liabilities treated according to Art. 8(5) CIR 300,000,000.0000

BAC Numerator 750,000,000.0000

Basic Annual Contribution (BAC): numerator (field codes refer to the 2021 SRF reporting template)

D. ARTICLE 8.5

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Example D.3: 2021 ex-ante contribution calculated for risk-adjusted institution that qualifies for Art. 8(5) of CIR


In accordance with Art. 8(5) of Council Implementing Regulation(EU) 2015/81, the 2021 contribution of institutions whose total assets are above €1 bn, but equal to, or less than, €3 bn pay a lump- sum of €50,000 for the first €300 m of total liabilities excluding own funds and covered deposits. For the remaining total liabilities, institutions contribute in accordance with the risk-adjusted regimeof the DR.

STEP 1: calculate the BAC numerator1 by excluding liabilities treatedin accordance with Art. 8(5).

Ex. max(2,000,000,000 – 200,000,000 – 800,000,000 + 65,000,000 –15,000,000 – 300,000,000; 0) = 750,000,000

STEP 2: calculate the contribution amounts in SRMR and BRRD.

𝑇𝑎𝑟𝑔𝑒𝑡 ∗

𝐵𝑛∑𝑝=1𝑁 𝐵𝑝

∗ ෨𝑅𝑛


∑𝑞=1𝑁 𝐵𝑞

∗ ෨𝑅𝑝

= 𝑎 ∗

(𝑏)(𝑐)

∗ (𝑑)

(𝑒)(𝑐)

Ex:

• In SRMR:

For the first 300 m: 50,000

For the remaining 750 m: 5,100,000,000 x (750,000,000/ 13,000,000,000,000) x 1.063189532847 / (18,700,000,000,000/13,000,000,000,000) = 217,470.59

Total: 50,000 + 217,470.59 = 267,470.59

• In BRRD:

For the first 300 m: 50,000

For the remaining 750 m: 100,000,000 x (750,000,000/ 300,000,000,000) x 1.44321000000 / (4,000,000,000,000/300,000,000,000) = 27,060.19

Total: 50,000 + 27,060.19 = 77,060.19

STEP 1

STEP 2

STEP 3: determine the 2021 contribution by applying the relative weights: 86.67% - SRMR and 13.33%-BRRD

Ex: 0 8667 x 267 470 59 + 0.1333 x 77 060 19 = 242 088.88. , . . , . ,

STEP 3



1In the calculation, the BAC numerator cannot be valued below zero in order to avoid obtaining negative amounts.

SRMR (86.67%)

BRRD (13.33%)

E. SRM AND BRRD CALCULATION DETAILS

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Why are there two calculation methods?

During the transitional period, the ex-ante contributions are calculated in accordance with the adjusted methodology laid down in Article 8(1) of the Council Implementing Regulation (EU) 2015/81. For the 2021 contribution period, for all institutions (section 6 of MD):

• 13.33% of the annual contributions were calculated in accordance with Article 103 of Directive 2014/59/EU and Article 4 ofCommission Delegated Regulation (EU) 2015/63 (“National Base” or, in the annexes “BRRD”), and

• 86.67% of the annual contributions were calculated in accordance with Articles 69 and 70 of Regulation (EU) No 806/2014and Article 4 of Council Implementing Regulation (EU) 2015/81 (“Banking Union” or, in the annexes, “SRMR”).

Ex: For risk-adjusted institutions the risk adjustment factor is calculated twice: on the National Base and the Banking Union Base. Therefore, institutions’ basic annual contributions are adjusted in proportion to their risk profile twice: on the National Base and the Banking Union Base (which might result in different contributions). The final contribution is then weighted 13.33% on the National Base contribution and 86.67% on the Banking Union Base contribution.

Example E.1: SRM and BRRD calculation details

Note:For the calculation of the part of the annual contributions in the National Base, only data from institutions that are authorised in the territory of that participating Member State are taken into account, while data from institutions that are authorised in the territories of other participating Member States are not considered. Consequently, the target used for this calculation is defined on a National Base taking into account only the covered deposits of the credit institutions in the relevant participating Member State. In the same way, the relative riskiness and the relative size of an institution are assessed only in comparison with the riskiness and the size of institutions authorised in the territory of the same participating Member State. For the calculation of the part of annual contributions in the Banking Union Base, data from all institutions authorised in the territories of all participating Member States are taken into account. Consequently, the annual target level is defined based on the covered deposits of all credit institutions established in the participating Member States, and the relative riskiness and size of the institutions are assessed in comparison with all such institutions. The methodology for calculating the contributions is the same in both calculations.

2C1

2C2

2C3

3A8

3B8

3C8

3D8

3E11

3F11 Total deductible amount of assets and liabilities arising from qualifying intragroup liabilities 100,000.0000

Total deductions 150,000.0000

Total deductible amount of qualifying liabilities that arise by virtue of holding client assets or client money 0.0000

Total deductible amount of qualifying liabilities that arise from promotional loans 0.0000

Total deductible amount of assets and liabilities arising from qualifying IPS liabilities 50,000.0000

Derivative adjustment (-2C2+max(2C1;0.75*(2C2+2C3)) 15,000,000.0000

Deductions according to Article 5(1) of Delegated Regulation 2015/63

Total deductible amount of qualifying liabilities related to clearing activities 0.0000

Total deductible amount of qualifying liabilities related to CSD activities 0.0000

Adjustment of liabilities arising from derivative contracts (excluding credit derivatives)

Liabilities arising from all derivative contracts (excluding credit derivatives) valued in accordance with the 60,000,000.0000

Accounting value of liabilities arising from all derivative contracts (excluding credit derivatives) booked on- 45,000,000.0000

Accounting value of liabilities arising from all derivative contracts (excluding credit derivatives) held off-balance 5,000,000.0000

Input values used in the calculation (field codes refer to the 2021 SRF data reporting form) in addition to the ones mentioned above to identify the BAC

F. BASIC ANNUAL CONTRIBUTION

Example F.1: How are the intermediate steps for Basic Annual Contributions calculated? Applicable for 10.7, Basic, Risk Adjusted institutions, and Article 8.5

How is the derivative adjustment calculated?

Derivative adjustment is calculated by taking fields2C1, 2C2 and 2C3 in the 2021 SRF Data ReportingForm and applying the following formula (sub-section 6.1 of MD):

- ONBS + max[LR; 0.75 x (ONBS + OFFBS)]

which means that accounting value of liabilitiesarising from derivative contracts booked on balancesheet is deducted (- ONBS) and replaced with thehighest of either on- and off-balance sheet liabilitiesarising from derivative contracts valued inaccordance with the leverage ratio methodology or75% of the sum of on- and off- balance sheetaccounting value of liabilities arising from derivativecontracts (+ max[LR; 0.75 x (ONBS + OFFBS)]).

Ex: - 45,000,000 + max[60,000,000 ; 37,500,000] = 15,000,000

How is the total deduction amount calculated?

The total deduction amount is calculated by taking fields 3A8, 3B8, 3C8, 3D8, 3E11 and 3F11 in the 2021SRF Data Reporting Form and summing up all amounts.

Ex: 50,000 + 100,000 = 150,000

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Target relevant for the calculation method

Calculation method & relevant target level

SRMR BRRD

7,100,000,000.0000 300,000,000.0000

SRMR

Sum of the relevant BACs

SRMR BRRD

2,000,000,000,000.000015,000,000,000,000.0000

Basic Annual Contribution (BAC): denominator

Total liabilities 2A1

- Own funds 2A2

- Covered deposits 2A3

Sub total

BAC Numerator

150,000.0000

2,014,850,000.0000

+/- Derivative adjustment (If applicable; see last page)

- Deductions (If applicable; see last page)

4,000,000,000.0000

400,000,000.0000

1,600,000,000.0000

2,000,000,000.0000

15,000,000.0000

Basic Annual Contribution (BAC): numerator (field codes refer to the 2021 SRF reporting template)

F. BASIC ANNUAL CONTRIBUTION

Example F.2: What is taken into account when calculating Basic Annual Contributions? Applicable for 10.7, Basic, Risk Adjusted institutions, and Article 8.5

What is the relevant target level?

The total amount of contributions to the Fund for the 2021ex-ante contribution period (the “annual target level”) wasset at 1/8th of 1.35% of the covered deposits of all creditinstitutions authorised in the participating Member Statesin 2020 (section 5 of MD).

The target level relevant for the calculation method isdetermined in accordance with Annex I, Step 6 of DR,which means that the amount referred in these fields willbe different depending if the institution:

• Qualifies for a lump-sum treatment, but opted for analternative calculation in accordance with Art. 10(7) ofDR;

• Identified itself as mortgage credit institutions financedby covered bonds or investment firm authorized tocarry out only limited services and activities;

• Qualifies for a risk adjusted contribution calculation.

How is the BAC numerator calculated?

The institution’s BAC numerator (sub-section 6.1 of MD) takes into account data provided in Tabs 2 & 3 ofthe 2021 SRF Data Reporting Form. The BAC numerator is calculated by applying the followingadjustments (if applicable) to institution’s total liabilities:

• subtracting own funds

• subtracting covered deposits

• adding or subtracting derivative adjustment

• subtracting deductions (exclusions described in Article 5(1) of DR)

Ex: 4,000,000,000 – 400,000,000 – 1,600,000,000 + 15,000,000 – 150,000 = 2,014,850,000

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What is the sum of the relevant BACs?

The sum of relevant BACs for the calculation method willbe different depending on whether the institution:

• Qualifies for a lump-sum treatment, but opted for analternative calculation in accordance with Art. 10(7) ofDR;

• Identified itself as mortgage credit institutions financedby covered bonds or as investment firm authorized tocarry out only limited services and activities;

• Qualifies for a risk adjusted contribution calculation.


H. OTHER INPUT VALUES USED IN THE CALCULATION

What are the additional input values used to

perform the calculations?

Each Harmonized Annex includes input data

used in the calculation. In the case of risk

adjusted and Article 8.5 institutions, all data

points used to determine the institutions’

risk adjustment factor, including the raw

values but also the calculated ratios used to

assign the institution to its bin (Annex I DR

Step 2), are presented at the end of the

Harmonized Annex.

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Example H.1: What are the additional input values used to perform the calculations? Applicable for Risk Adjusted institutions and Article 8.5

1D1

1E1

4A7

4A14

4A15

4A16

4A17

4A18

4B6

4C6

4C7

4C8

4D1

4D4

4D3

4D2

4D5

4D8

4D7

4D6

4D9

4D10

4D13

4D12

4D11

4D17

Derivatives exposure divided by total risk exposure 00.008

Does the institution meet the three conditions of 'public financial No

Of which: derivatives cleared through a central counterparty (CCP) 0.0000

Derivatives exposure divided by Total Assets 70.002

Derivatives exposure divided by CET1 00.400

Off-balance sheet nominal amount divided by CET1 020.000

Off-balance sheet nominal amount divided by total risk exposure 00.400

Total derivative exposure 80,000,000.0000

Risk weighted assets for market risk divided by total risk exposure 00.005

Total off-balance sheet nominal amount 4,000,000,000.0000

Off-balance sheet nominal amount divided by Total Assets 30.133

Risk exposure amount for market risk on traded debt instruments 50,000,000.0000

Risk weighted assets for market risk divided by Total Assets 70.001

Risk weighted assets for market risk divided by CET1 00.250

Interbank loans 3,000,000,000.0000

Interbank deposits 7,000,000,000.0000

Share of interbank loans and deposits in the EU 010,000,000,000.000

Total assets 30,000,000,000.0000

Total Risk Exposure / Total Assets 30.333

Liquidity Coverage Ratio 01.000

CET1 capital 200,000,000.0000

Total Risk Exposure 10,000,000,000.0000

CET1 ratio (CET1 capital / Total Risk Exposure) 00.020

Other input values used in the calculation

Reference date for reporting form

Leverage ratio 00.060

Start date of supervision (only filled if in the course of 2020)

31/12/2019

2,000,000.00

1,000,000.00

Final amount to be paid 3,000,000.00

1D1


Other input values used in the calculation

2021 contribution

+ Adjustment for newly supervised

Start date of supervision (only filled if in the course of 2020) 05/06/2020

Input values used in the calculation (field codes refer to the 2021 SRF data reporting

form) in addition to the ones mentioned above to identify the BAC

2,000,000.00

250,000.00


Possible IPC amount 262,500.00


2021 contribution

Deduction of 2015 contribution

2,000,000.00

250,000.00

50,000.00

150,000.00

50,000.00-

20,000.00-

50,000.00

N/A



2021 contribution

Deduction of 2015 contribution

+/- 2015 data restatements





+ Adjustment for newly supervised

H. CALCULATION OF FINAL AMOUNT TO BE PAID

How is the IPC amount determined?

Pursuant to the 2021 MD (SRB/ES/2021/22), such amount was calculated as 15% of the total payment obligation of each institution.

Ex: 1,750,000 x 0.15 = 262,500

Example H.1: How to get to the “Final amount to be paid”? Applicable to all institutions

Example H.3: How is the “Possible IPC amount” determined? Applicable to all institutions

How to get to the final amount to be paid?

The final amount to be paid is determined by taking 2021 ex-ante contribution calculated (sections 5 & 6 of MD) and applying the following adjustments (if applicable):

• subtracting part of 2015 contribution paid by the institution (section 7 of MD)

• adding or subtracting adjustment related to data restatements (section 9 of MD)

Ex: 2,000,000 – 250,000 + 50,000 + 150,000– 50,000 – 20,000 + 50,000 = 1,930,000

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Example H.2: How is the “Adjustment for newly supervised” determined? Applicable to all institutions

How is the adjustment for newly supervised determined?

In accordance with Article 12(1) DR, the partial contributions for 2020 (of institutionsthat are newly supervised in the year 2020) are determined by considering the amountof 2021 ex-ante contributions by reference to the number of full months of thecontribution period for which the institution was supervised.

Ex: if the start date of supervision is 5 June 2020, the institution was supervised for 6 full months 2,000,000*(6/12) = 1,000,000

I. HARMONIZED ANNEX RESTATEMENT

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Example I.1: How is the adjustment resulting from the data restatement calculated ? Applicable for restatements only

Difference due to 2016 restatements (solo level) 24,000.0035,000.00

Calculation of the adjustment resulting from the data restatement

- Difference due to 2016 restatements in 2020 cycle

- 2016 original calculated contribution (incl. adjustment for newly supervised) 26,000.00



2016 recalculated contribution (incl. adjustment for newly supervised) 50,000.00


N/A

-19,000.00

8,000.00

How is the data adjustment calculated on solo level?

The data adjustment on solo level is calculated starting from the recalculated contribution (including adjustment for newly supervised ) and subtracting the amounts previously invoiced for the given cycle (2016 in this example). The amounts prev iously invoiced consist out of the (2016) original calculated contributions (including

adjustment for newly supervised) and the previous data adjustments, if any (contribution cycles 2016, 2017, 2018, 2019 and 2020).

35,000.00 = 50,000.00 - (-19,000.00) - 8,000.00 - 26,000.00

How is the data adjustment calculated in the 2021 Harmonized Annex?

The data adjustment (e.g. 2016 cycle) provided in the 2021 Harmonized Ann ex is the sum of the data adjustment on solo level of the institutions that were acquired or merged into the entity in scope for the 2021 contribution cycle.

N/A

HOW TO UNDERSTAND THE HARMONISED ANNEX?

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